IDEAS home Printed from https://ideas.repec.org/p/akf/cafewp/15.html
   My bibliography  Save this paper

Adaptive Market Hypothesis: A Comparison of Islamic and Conventional Stock Indices

Author

Listed:
  • Akbar, Muhammad
  • Ali, Shahid
  • Ullah, Ihsan
  • Rehman, Naser

Abstract

We assess informational efficiency of nine Dow Jones Islamic market indices and their counterpart conventional Morgan Stanley indices using data from 1996 to 2020. We test the martingale difference hypothesis of no return predictability overtime and assess the adaptive market hypothesis over different market conditions. We find that the null is rejected in a number of periods in line with the adaptive market hypothesis for both Islamic and conventional stock indices. However, we do not observe any significant differences in return predictability between Islamic and conventional stocks over different market conditions including financial crisis of 2007-08 and COVID-19 pandemic.

Suggested Citation

  • Akbar, Muhammad & Ali, Shahid & Ullah, Ihsan & Rehman, Naser, 2021. "Adaptive Market Hypothesis: A Comparison of Islamic and Conventional Stock Indices," CAFE Working Papers 15, Centre for Accountancy, Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University.
    • Handle: RePEc:akf:cafewp:15
    as

    Download full text from publisher

    File URL: https://www.open-access.bcu.ac.uk/11788/1/Akabar%20et%20al%20-%20CAFE%20WP15%20-%20Adaptive%20Market%20Hypothesis%20-%20a%20Comparison%20of%20Islamic%20and%20Conventional%20Stock%20Indices.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ghaemi Asl, Mahdi & Adekoya, Oluwasegun Babatunde & Rashidi, Muhammad Mahdi & Ghasemi Doudkanlou, Mohammad & Dolatabadi, Ali, 2022. "Forecast of Bayesian-based dynamic connectedness between oil market and Islamic stock indices of Islamic oil-exporting countries: Application of the cascade-forward backpropagation network," Resources Policy, Elsevier, vol. 77(C).

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:akf:cafewp:15. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Research Publications Librarian (email available below). General contact details of provider: https://edirc.repec.org/data/bsuceuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.